英文标题：
《Trading Lightly: Cross-Impact and Optimal Portfolio Execution》
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作者：
Iacopo Mastromatteo, Michael Benzaquen, Zoltan Eisler, Jean-Philippe
Bouchaud
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最新提交年份：
2017
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英文摘要：
We model the impact costs of a strategy that trades a basket of correlated instruments, by extending to the multivariate case the linear propagator model previously used for single instruments. Our specification allows us to calibrate a cost model that is free of arbitrage and price manipulation. We illustrate our results using a pool of US stocks and show that neglecting cross-impact effects leads to an incorrect estimation of the liquidity and suboptimal execution strategies. We show in particular the importance of synchronizing the execution of correlated contracts.
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中文摘要：
通过将之前用于单一工具的线性传播模型推广到多元情况，我们对交易一篮子相关工具的策略的影响成本进行了建模。我们的规范允许我们校准没有套利和价格操纵的成本模型。我们使用一组美国股票来说明我们的结果，并表明忽视交叉影响会导致对流动性的错误估计和次优执行策略。我们特别说明了同步执行相关合同的重要性。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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